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Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
Bartram, Söhnke M.; Brown, Gregory; Stulz, René M. - National Bureau of Economic Research (NBER) - 2009
Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...
Persistent link: https://www.econbiz.de/10005000621
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Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
Bartram, Söhnke M. - 2019
Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...
Persistent link: https://www.econbiz.de/10012906259
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M.; Brown, Gregory; Stulz, René M. - 2017
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …
Persistent link: https://www.econbiz.de/10011698727
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The …
Persistent link: https://www.econbiz.de/10011520441
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The …
Persistent link: https://www.econbiz.de/10011520321
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Why is there a secular decline in idiosyncratic risk in the 2000s?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2019
Except for relatively short but intense episodes of high market risk, average idiosyncratic risk (IR) falls steadily after 2000 until almost the end of our sample period in 2017. The decrease has been such that from 2012 to 2017 average IR was lower than any time since 1965. The secular decline...
Persistent link: https://www.econbiz.de/10012120300
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Is post-crisis bond liquidity lower?
Anderson, Mike; Stulz, René M. - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …
Persistent link: https://www.econbiz.de/10011963317
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …
Persistent link: https://www.econbiz.de/10011674278
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Liquidity Shocks and Hedge Fund Contagion
Boyson, Nicole M. - 2012
returns. We then show that large adverse shocks to asset and funding liquidity strongly increase the likelihood of this … linked to liquidity shocks, especially for small-cap domestic equities, Asian equities, high yield bonds, and the Australian …
Persistent link: https://www.econbiz.de/10013114577
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea; Stulz, René M. - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...
Persistent link: https://www.econbiz.de/10011279577